# On the Rate of Convergence of the Finite-Difference Approximations for Parabolic Bellman Equations with Constant Coefficients

On the Rate of Convergence of the Finite-Difference Approximations for Parabolic Bellman... The error bounds of order $h+\tau^{\frac{1}{2}}$ for two types of finite-difference approximation schemes of parabolic Bellman equations with constant coefficients are obtained, where h is x -mesh size and τ is t -mesh size. The key methods employed are the maximum principles for the Bellman equation and the approximation schemes. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

# On the Rate of Convergence of the Finite-Difference Approximations for Parabolic Bellman Equations with Constant Coefficients

, Volume 58 (3) – Dec 1, 2008
30 pages

/lp/springer_journal/on-the-rate-of-convergence-of-the-finite-difference-approximations-for-Ra2JLeZIwC
Publisher
Springer-Verlag
Subject
Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-008-9037-x
Publisher site
See Article on Publisher Site

### References

• On the rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains
Dong, H.; Krylov, N.V.

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